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math.PR2020
A universal approach to estimate the conditional variance in semimartingale limit theorems
Mathias Vetter
The typical central limit theorems in high-frequency asymptotics for semimartingales are results on stable convergence to a mixed normal limit with an unknown conditional variance.…
math.PR2018
Laws of large numbers for Hayashi-Yoshida-type functionals
Ole Martin, Mathias Vetter
In high-frequency statistics and econometrics sums of functionals of increments of stochastic processes are commonly used and statistical inference is based on the asymptotic behav…
math.PR2015★ 3 cited
On U- and V-statistics for discontinuous Ito semimartingales
Mark Podolskij, Christian Schmidt, Mathias Vetter
In this paper we examine the asymptotic theory for U-statistics and V-statistics of discontinuous Ito semimartingales that are observed at high frequency. For different types of ke…